There are a few parts and tools you'll need you'll need. I found all of the parts at Radioshack, and I bet that all of the tools can be found there too. Links are to the parts and tools at RadioShack.com.
Parts:9v battery snap-on connector9v battery
2 (two) 22 uF capacitors
3 (three) 1K ohm resistorsPerforated PC board555 timer
2 (two) 3V LEDs8 Ohm Speaker
(see notes below)250K Ohm Potentiometer
(see notes below)Knob
And finally... a project box.
A project box can be just about anything that the parts will fit into, will sufficiently protect what you've built, and have some way of providing access to the controls. I used a see-through plastic box that held thumbtacks. It conveniently opens and closes for repairs and battery changes, makes it look cool, and you can easily drill holes for the controls to go through. You could buy a project box from Radioshack or find one in your house.
About the speaker: I found mine in a bad set of walky-talkies. To find out the resistance, just take a multimeter and measure the resistance across the leads or it should say on the package if you bought it. It needs to be 8 ohms!
About the potentiometer: If you click on the link, it won't take you to a 250K ohm potentiometer. That's because Radioshack doesn't have one. Instead, I found a stereo 100K pot at Radioshack and the two signal paths in sequence so it became a 200K pot (which is close enough). The diagram for this is in the next step.
Drill (if you want/need to drill holes in your project box for the controls/leds/speaker)
Glue/adhesive to hold stuff in place in the project box (I used a hot glue gun, it's easy to use and holds things well)
Breadboard (if you want to make a prototype, which you should)